non linear optimization problem

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Peihong 2013-4-24

Hi, I encountered one optimization question like this

maximize R' *Log(w)

subject to w' *cov*w<=0.1 and w>=0

where R is a nx1 vector (given), w is one nx1 vector (to be solved), cov is a n x n matrix (given).

It seems it's not a standard question to be solved by optimizer, is there anyone to give me some hints, thanks!

Matt J 2013-4-24

编辑：Matt J 2013-4-24

It seems it's not a standard question to be solved by optimizer

Why do you say that? What would be considered a "standard question"?

If R>=0, then it is a convex optimization problem and should be very easy to solve. Try FMINCON.

Peihong 2013-4-24

Thanks a lot. I tried the FMINCON, it works. have a good day.

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